2 citations · 2 across the 3 of their papers we have counts for
4 papers
-Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps
Chiara Benazzoli, Luciano Campi, Luca Di Persio
We consider a symmetric -player nonzero-sum stochastic differential game with controlled jumps and mean-field type interaction among the players. Each player minimizes some expe…
Mild solutions to the dynamic programming equation for stochastic optimal control problems
Viorel Barbu, Chiara Benazzoli, Luca Di Persio
We show via the nonlinear semigroup theory in that the -D dynamic programming equation associated with a stochastic optimal control problem with multiplicative…
Feedback optimal controllers for the Heston model
Viorel Barbu, Chiara Benazzoli, Luca Di Persio
We prove the existence of an optimal feedback controller for a stochastic optimization problem constituted by a variation of the Heston model, where a stochastic input process is a…
Mean field games with controlled jump-diffusion dynamics: Existence results and an illiquid interbank market model
Chiara Benazzoli, Luciano Campi, Luca Di Persio
We study a family of mean field games with a state variable evolving as a multivariate jump diffusion process. The jump component is driven by a Poisson process with a time-depende…